Kaya getting possessed by Loki after making an illegal contract with him.
There's also the death of Mio Amasaki during Kazuki's first duel with Loki, which is not only sad, but also disturbing. After Mio gets slashed by Loki's attack in a Heroic Sacrifice, she bleeds to death from the gruesome gash inflicted on her. If Mio hadn't shown up when she did, Kazuki would've died the same way.
The Demon Beast entangling a naked Mio with its tentacles in Volume 2.
Picturing Nyarlathotep's experiments on transforming the unfortunate humans into elves. They probably were taken in as test subjects to turn them into "Quad-core" summoners, and if they succeed, they turn into mindless servants. For the ones who didn't make it however, they would melt into nothing but flesh. Even then, it's too late to escape... and nobody's coming to save you in the laboratory.
Unsurprisingly, Nyarlathotep is full of these moments due to being a part of Cthulhu Mythos. He's first revealed as Headmaster Otonashi's illegal Diva by taking control of the man and scratching his face off to reveal a faceless head. Once he's cornered by the heroes, he takes his horrifying true form. If it weren't for the fact that his mythology is weakened due to their lack of popularity, he might have driven everyone insane just from his appearance alone. He gets worse in Volume 13, where he's converted into Typhon, causing Regina to transform into an Eldritch Abomination.
Shizuka using her psychokinetic powers to kill herself towards the end of volume 5 can catch people off-guard.
Hel is pretty creepy by herself, but when she allows Ikousai to steal her authority, the situation becomes the stuff horror movies are made out of. Even going so far as to speak through the a mortal wound, to then emerge from the corpse to attack and steal China's authority. Now she's both exceptionally strong, and almost as strategically skilled as Kazuki.
Lucifer crashes Atlantis near Japan in order to destroy the country with a tsunami with Japan's military forces completely helpless to stop it. If it weren't for the the efforts of summoners all over the globe, this would have resulted in the highest body count in the series.
